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Sergey Smirnov Achievements In Financial Engineering
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Sergey Smirnov Achievements In Financial Engineering Presentation Transcript

  • 1. Sergey Smirnov Achievements in Financial Engineering
    • Author of a new method for the margining portfolio of exchange traded derivatives, robust under low liquidity market conditions (see www.riskmanager.ru/a.htm for a description in English), presented in 2002 at Department of Risk Management of Chicago Mercantile Exchange.
      • Invention patented (2004) in Russian Federation.
      • Coauthors: A. Zakharov, I. Polimatidi, A. Balabushkin.
  • 2. Sergey Smirnov Achievements in Financial Engineering
    • Author of methodology of assessing Deposit Insurance Fund adequacy Implemented (2005) in Deposit Insurance Agency (DIA) of Russian Federation; the econometric model of estimation of bank default probabilities developed for DIA is also implemented in Vnesheconombank (2006) by Prognoz IT company.
      • Presented in 2006 in Toronto, see http://www.actuaries.ca/meetings/stochastic-investment/2006/stochastic_e.cfm , “Credit Risk Modeling for Assessing Deposit Insurance Fund Adequacy: the Case of Russia” – 2006 Stochastic Modeling Symposium and Investment Seminar, Paper #3109.
      • Coathors: Daryin A., Rachkov R., Buzdalin A., Zdorovenin V., Goncharov A.
  • 3. Sergey Smirnov Achievements in Financial Engineering
    • Author of a new method of zero coupon yield curve construction for a set of bonds of different credit quality. Approved in 2006 as a standard of European Bond Commission (EFFAS-EBC) for construction of risk-free of zero coupon yield curve in Euro zone, based on quotes of government bond of 12 countries ( see www.effas-ebc.org , section “Projects”, “Methodology for Definition of Risk Free Zero-Coupon Yield Curve and Spreads in the Eurozone”, EFFAS-EBC Standardized Rules, June 2006).
      • Coathors: Zakharov A. Rachkov R., Lapshin V., Zdorovenin V., Evstratov S.